Results 71 to 80 of about 5,852 (226)

VIX (Korku Endeksi) ile BİST Endeksleri Arasındaki Volatilite Etkileşiminin DCC-GARCH Modeliyle Analizi(Analysis of Volatility Interaction Between VIX (Fear Index) and BIST Indexes With DCC-GARCH Model)

Journal of Business Research - Turk, 2021
Purpose –  In this study, It is aimed to examine and interpret the volatility interaction between some indexes operating in Borsa Istanbul and VIX (Fear Index). Design/methodology/approach – In the study, daily income series of BIST 30, BIST Corporate Governance, BIST Industry, BIST Trade, BIST Insurance and BIST Leasing and Factoring Indices and VIX (
openaire   +2 more sources

Global Spillovers Between Sustainable and Traditional ETFs: Crisis Dynamics and Policy Implications

Global Policy, Volume 16, Issue 5, Page 862-873, November 2025.
ABSTRACT This paper examines the interconnections between segments of exchange‐traded funds (ETFs), bridging the traditional financial perspective with the sustainability‐driven approach based on the Sustainable Development Goals (SDGs) outlined in Agenda 2030. The analysis is endogenous, focusing on the shocks that emerge within the system composed of
Vítor Manuel de Sousa Gabriel, María Belén Lozano, Maria Fernanda Ludovina Inácio Matias, Maria Elisabete Neves, Sandra Cristina Francisco Rebelo   +4 more
wiley   +1 more source

Transitioning to Sustainability: Dynamic Spillovers Between Sustainability Indices and Chinese Stock Market

European Financial Management, Volume 31, Issue 5, Page 1742-1770, November 2025.
ABSTRACT This paper investigates the dynamic transition of the Chinese stock market towards a just and sustainable future by examining the tail risk connectedness and frequency‐quantile dependence between a series of sustainability indices and Chinese stock market sectors. Employing the novel TVP‐VAR‐CAViaR connectedness method and the wavelet quantile
Hongjun Zeng, Ramzi Benkraiem, Mohammad Zoynul Abedin, Petr Hajek   +3 more
wiley   +1 more source

Model Averaging in Risk Management with an Application to Futures Markets [PDF]

, 2008
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management ...
Pesaran, M. Hashem, Schleicher, C., Zaffaroni, P.   +2 more
core   +4 more sources

Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets

European Financial Management, Volume 31, Issue 5, Page 1704-1719, November 2025.
ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions and dynamic conditional correlation generalized autoregressive conditional heteroskedasticity models,
Mohamed Arouri, Mayssa Mhadhbi, Mohamad H. Shahrour   +2 more
wiley   +1 more source

"Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies" [PDF]

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system.
Mark A. Thompson, Michael McAleer, Shawkat Hammoudeh, Yuan Yuan   +3 more
core   +6 more sources

Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets

Journal of Futures Markets, Volume 45, Issue 9, Page 1253-1277, September 2025.
ABSTRACT This paper investigates the mean, volatility, skewness, and kurtosis of price spillovers from the natural gas, coal, and CO2 emissions markets into the German electricity market from 2010 to July 2023, segmented into three periods: pre‐Russo‐Ukrainian war, war‐triggered price rise, and postwar adjustment. Utilizing a flexible probability model
Filippos Ioannidis, Kyriaki Kosmidou, Panayiotis Theodossiou   +2 more
wiley   +1 more source

Modelación y co-movimientos de la tasa de cambio colombiana, 2011-2017 || Modeling and comovements of the Colombian exchange rate, 2011-2017

Revista de Métodos Cuantitativos para la Economía y la Empresa, 2019
La tasa de cambio está influenciada por múltiples factores macroeconómicos nacionales e internacionales, lo que genera altos niveles de incertidumbre.
Maya Sierra, Giuliana, Marín Rodríguez, Nini Johana   +1 more
doaj  

Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis

, 2012
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data.
Barunik, Jozef, Vacha, Lukas
core   +1 more source

Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach

Revista Brasileira de Finanças, 2012
In this paper we estimate a dynamic portfolio composed by the U.S., German, British, Brazilian, Hong Kong and Australian markets, the period considered started on September 2001 and finished in September 2011. We ran the Copula-DCC-GARCH model on the daily returns conditional covariance matrix.
Marcelo Brutti Righi, Paulo Sergio Ceretta   +1 more
openaire   +1 more source